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subject:"Exchange rate"
subject:"United Kingdom"
~person:"Zakoïan, Jean-Michel"
~subject:"ARCH model"
~subject:"Prognoseverfahren"
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Exchange rate
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Estimation theory
50
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23
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23
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23
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14
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Zakoïan, Jean-Michel
Swanson, Norman R.
31
Francq, Christian
27
Diebold, Francis X.
25
Teräsvirta, Timo
24
Koop, Gary
21
Corradi, Valentina
18
Marcellino, Massimiliano
18
Hafner, Christian M.
17
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Linton, Oliver
17
Rahbek, Anders
17
McCracken, Michael W.
16
Cai, Zongwu
15
Ardia, David
14
Audrino, Francesco
14
Clark, Todd E.
14
Engle, Robert F.
14
Hendry, David F.
14
Huber, Florian
14
Sheppard, Kevin
14
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13
Caporale, Guglielmo Maria
13
Franses, Philip Hans
13
Gao, Jiti
13
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13
Härdle, Wolfgang
13
Kumar, Dilip
13
Pesaran, M. Hashem
13
Phillips, Peter C. B.
13
Rossi, Barbara
13
Bauwens, Luc
12
Pittis, Nikitas
12
Shephard, Neil G.
12
West, Kenneth D.
12
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11
Chevillon, Guillaume
11
Dijk, Dick van
11
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11
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7
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7
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2
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2
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ECONIS (ZBW)
23
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1
Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2022
Persistent link: https://www.econbiz.de/10013162003
Saved in:
2
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
3
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
4
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
5
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
6
Variance targeting estimation of multivariate GARCH models
Francq, Christian
;
Horváth, Lajos
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 353-382
Persistent link: https://www.econbiz.de/10011589013
Saved in:
7
Looking for efficient QML estimation of conditional VaRs at multiple risk levels
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 9-28
Persistent link: https://www.econbiz.de/10011592728
Saved in:
8
Risk-parameter estimation in volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
9
Multi-level conditional VaR estimation in dynamic models
Francq, Christian
;
Zakoïan, Jean-Michel
-
2014
Persistent link: https://www.econbiz.de/10010390368
Saved in:
10
GARCH models without positivity constraints : exponential or log GARCH?
Francq, Christian
;
Wintenberger, Olivier
;
Zakoïan, …
- In:
Journal of econometrics
177
(
2013
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10010189881
Saved in:
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